Dual momentum strategy

Checked October 2026

Dual momentum owns US stocks or foreign stocks, whichever has been stronger over the past year, and only when that market has also beaten cash. Gary Antonacci set it out in his 2014 book, Dual Momentum Investing. Backtoast ran it. A version holding cash instead of bonds made 9.3% a year at +5.13% a trade, but failed our test on trade frequency and outlier dependence.

Backtoast

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Dual momentum strategy

Relative momentum picks the stronger of the S&P 500 and stocks outside the US over 12 months, and absolute momentum checks that the winner beat Treasury bills over the same 12 months. If it did, the whole account holds it for a month, and if it didn't, the whole account goes to bonds.

The run used SPY and ACWX and couldn't build the bond piece, so it held cash instead. It also measured T-bills by a fund's price alone, which leaves out the interest, so the bar to beat was about zero when real T-bills paid about 4% to 5% a year in 2023 to 2025.

The 10 month moving average strategy makes the same in-or-out call per market with a moving average, and futures time series momentum uses the same 12-month lookback on 23 futures.

When it works

Dual momentum pays off in long bear markets, when absolute momentum keeps the account out of stocks for most of the fall, and it lags in quick V-shaped recoveries, when the 12-month lookback is slow to buy back in. Traders use it for the smaller drawdown, with one decision a month and one fund held at a time.

Origins

Antonacci's book reports an average of 17.43% a year from 1974 to 2013 before costs, with a worst drop of 22.7%. The run is from late 2021 to October 2026.

The run is Backtoast's, from 29 October 2026, after costs.